Open the Search and Replace window (comand-F).
Select PowerFind Pro from the "Using:" pop-up.
In Find what digit: .+
In Replace with digit: \0
Select all the content in the Find What pane and apply italics, or hit command-I.
Select all the content in the Replace with pane and apply underlined, or hit command-U.
Click Replace All.

This macro modifies rtf code directly and produces a new document with italic style attribute replaced by underline style attribute. It does not touch the original document.

I have not tested the macro extensively. It may not work properly for mixed attributes. As for Italic applied via character/paragraph styles, it would be better to change the definition of those styles.

My fault, sorry. I should have remembered that NWE doesn't support search with attributes.

Below is another (and faster) way.

Select any occurrence of italicized text.
A small "a" should appear on the statusbar (at the window's bottom).
Click on the "a" and select "Select All". This will select all occurrences of italicized text in the document.
Hit command-I, or select Format > Italics, or click Italics in the Character palette, to toggle the attribute back to regular.
Apply an underline format by hitting command-U, selecting Format > Underline > Single, or clicking Underline in the Character palette.